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Month-End Volume Spike On Close

US TSY FUTURES CLOSE

Futures mildly mixed -- well off morning lows to near middle of session range. Heavy month end volumes w/near 500k TYH in last 20 minutes (1.565M total/day), 225k FVH, 95k USH and 75k WNH over same period. Yield curves steeper, near mid-range:

  • 3M10Y +1.161, 76.085 (L: 74.087 / H: 77.56)
  • 2Y10Y +1.237, 69.369 (L: 67.472 / H: 70.319)
  • 2Y30Y +0.974, 142.529 (L: 140.511 / H: 143.835)
  • 5Y30Y +0.707, 120.986 (L: 119.536 / H: 122.188)
  • Current futures levels:
  • Mar 2Y +0.5/32 at 110-13.625 (L: 110-12.75 / H: 110-13.87)
  • Mar 5Y +0.25/32 at 126-0.25 (L: 125-30 / H: 126-01.75)
  • Mar 10Y -1/32 at 138-5 (L: 138-01.5 / H: 138-08)
  • Mar 30Y -6/32 at 174-27 (L: 174-18 / H: 175-10)
  • Mar Ultra 30Y -3/32 at 215-29 (L: 215-08 / H: 216-20)
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